The banker reportedly killed two female members of staffs before shooting dead a male bank employee on the first floor of the bank in the Amur region on Tuesday.
One official told Russian news agency Interfax: "Among the victims of the deputy head of the regional department of the central bank were two women and one man."
"One of the victims was also the deputy head of the bank, another was a department head and the man was the chief of a department of the bank."
All of the victims died on the spot.
A Russian Central Bank spokesman confirmed the incident at the bank's branch in Blagoveshchensk, adding: "Law enforcement agencies are working at the scene."
Russian officials said investigators were looking into the gunman's personal history for a possible motive for the attack.